Question
You are working in a US-based institution with some assets and liabilities. Your bank has British assets of GBP18,000,000 and British liabilities of GBP10,000,000. The
You are working in a US-based institution with some assets and liabilities.
Your bank has British assets of GBP18,000,000 and British liabilities of GBP10,000,000. The expected FX rate in indirect quote will be 0.90 in the future.
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Analysis and decision of Futures hedging strategy, including the selection of the suitable future contract, determination of position of the future contract, and the application of regression analysis of hedge ratio (based on the range of historical data that are provided), R2 , number of the futures contract for hedging,etc Extract the historical data in that you use in the hedge ratio regression analysis in proper Excel format and attached as a one-page appendix
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Hedge ratio analysis
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The expected loss/gain of the bank in US$ if the FX rate moves to the level as specified in each question.(Loss / Gain estimation under no hedging)
| SECURITY_NAME | FUT_CONT_SIZE | FUT_CONTRACT_DT | FUT_TICK_SIZE | QUOTED_CRNCY | LAST_TRADEABLE_DT | FUT_VAL_PT | QUOTE_UNITS | |
| contract size | expiration date | tick size | quoted currency | last tradable date | value point | quote units | ||
| JYJ0 CURNCY | JPN YEN CURR FUT Apr20 | 12500000 | 04/2020 | 0.005 | USd | 4/13/2020 | 1250 | cents/100 YEN |
| JYM0 CURNCY | JPN YEN CURR FUT Jun20 | 12500000 | 06/2020 | 0.005 | USd | 6/15/2020 | 1250 | cents/100 YEN |
| Security | JYM0 COMB Curncy | |
| Start Date | 5/2/2019 0:00 | |
| End Date | 13/2/2020 0:00 | |
| Period | D | |
| Currency | USd | |
| Date | PX_LAST | PX_INVERSE |
| 13/2/2020 | 91.51 | 109.278 |
| 12/2/2020 | 91.45 | 109.349 |
| 11/2/2020 | 91.73 | 109.016 |
| 10/2/2020 | 91.77 | 108.968 |
| 6/1/2020 | 93.025 | 107.498 |
| 3/1/2020 | 93.405 | 107.061 |
| 2/1/2020 | 92.95 | 107.585 |
| 31/12/2019 | 92.92 | 107.619 |
| 30/12/2019 | 92.715 | 107.857 |
| 27/12/2019 | 92.24 | 108.413 |
| 26/12/2019 | 92.1 | 108.578 |
| 7/2/2019 | 94.855 | 105.424 |
| 6/2/2019 | 94.785 | 105.502 |
| 5/2/2019 | 94.785 | 105.502 |
| Security | JPY BGN Curncy |
| Start Date | 13/2/2018 0:00 |
| End Date | 13/2/2020 0:00 |
| Period | D |
| Pricing Source | BGN |
| Date | PX_LAST |
| 13/2/2020 | 109.93 |
| 12/2/2020 | 110.09 |
| 11/2/2020 | 109.79 |
| 10/2/2020 | 109.77 |
| 3/1/2020 | 108.09 |
| 2/1/2020 | 108.57 |
| 1/1/2020 | 108.76 |
| 31/12/2019 | 108.61 |
| 30/12/2019 | 108.88 |
| 27/12/2019 | 109.44 |
| 26/12/2019 | 109.63 |
| 25/12/2019 | 109.38 |
| 24/12/2019 | 109.39 |
| 14/2/2019 | 110.48 |
| 13/2/2019 | 111.01 |
| 12/2/2019 | 110.48 |
| 11/2/2019 | 110.38 |
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